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Cited by

• 2000An experimental analysis of multi-attribute auctions271 cited
• 2005Convergence of Monte Carlo simulations involving the mean-reverting square root process162 cited
• 2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES159 cited
• 2008On the numerical solution of nonlinear Black–Scholes equations155 cited
• 2005Static-arbitrage upper bounds for the prices of basket options128 cited
• 2004Option pricing with Mellin transnforms114 cited
• 2003Application of the Fast Gauss Transform to Option Pricing89 cited
• 2012Pricing and simulations of catastrophe bonds85 cited
• 2007Penalty methods for the numerical solution of American multi-asset option problems84 cited
• 2005On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile83 cited
• 2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options83 cited
• 2003Pricing equity-indexed annuities with path-dependent options81 cited
• 2004Convergence of Binomial Tree Methods for European/American Path-Dependent Options74 cited
• 2007Accurate Evaluation of European and American Options Under the CGMY Process70 cited